portfolioAnalytics.vasicek subpackage

Functions

The Vasicek subpackage implements currently the following:

• vasicek_base implements a finite homogeneous pool

• vasicek_base_el implements the expected loss for the vasicek_base case

• vasicek_base_ul implements the standard deviation for the vasicek_base case

• vasicek_lim implements the limiting case for large N

• vasicek_lim_el implements the expected loss for the vasicek_lim case

• vasicek_lim_ul implements the standard deviation for the vasicek_lim case

• vasicek_lim_q implements the quantile for the vasicek_lim case

Vasicek Base Distribution

Vasicek Base Distribution Expected Loss

Vasicek Base Distribution Unexpected Loss

Vasicek Limit Distribution

Vasicek Limit Distribution Expected Loss

Vasicek Limit Distribution Unexpected Loss

Vasicek Limit Distribution Quantile Loss